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9
Grid Arbitrage
Horizon HFT User Tutorial v1.91 · Section 9 of 12 · Strategy Deep-Dives
Grid Arbitrage opens a first leg when the fast feed leads your broker, adds larger legs as the price moves against the basket, and closes the whole basket together.
Info
Entry Logic
Leg 1 opens when the fast feed leads your broker by at least Trigger Gap points, on the side of the lead. At Trigger Gap 0 the lead test is off: the Trend Filter's EMA sets the side, and a new basket opens when the price crosses to a new side. With the filter off, leg 1 takes the side with the larger lead, and equal leads open nothing. With the Trend Filter on, no leg ever opens on the side it blocks.
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